How to correct shading when connecting faces?
When you add faces using F to a mesh they default to Flat shading - even if the rest of the object is set to Smooth shading. To set all faces to Smooth shading in Object mode, simply click 'Smooth' shading in the toolshelf (T). Alternatively, in Edit mode, simply select those faces, press Control-F to bring up the Faces menu and select 'Shade Smooth' (or 'Shade Flat' to set individual faces back to Flat shading).